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Mean field limits for many-agents models

Series:

PDE Seminar

Tuesday, April 14, 2015 - 15:05

1 hour (actually 50 minutes)

Location:

Skiles 006

Speaker:

Pierre-Emmanuel Jabin

,

University of Maryland, College Park

We consider some recent models from stochastic or optimal control
involving a very large number of agents. The goal is to derive mean
field limits when the number of agents increases to infinity. This
presents some new unique difficulties; the corresponding master equation
is a non linear Hamilton-Jacobi equation for instance instead of the
linear transport equations that are more typical in the usual mean field
limits. We can nevertheless pass to the limit by looking at the problem
from an optimization point of view and by using an appropriate kinetic
formulation. This is a joint work with S. Mischler, E. Sere, D. Talay.